Uses of Class
net.finmath.finitedifference.grids.SpaceTimeDiscretization
Packages that use SpaceTimeDiscretization
Package
Description
Package net.finmath.finitedifference.
Package net.finmath.finitedifference.assetderivativevaluation.models.
Package net.finmath.finitedifference.interestrate.models.
Package net.finmath.finitedifference.solvers.
Package net.finmath.finitedifference.solvers.adi.
Package net.finmath.finitedifference.utilities.
-
Uses of SpaceTimeDiscretization in net.finmath.finitedifference
Methods in net.finmath.finitedifference that return SpaceTimeDiscretizationModifier and TypeMethodDescriptionFiniteDifferenceModel.getSpaceTimeDiscretization()Returns the space-time discretization used by this finite difference model. -
Uses of SpaceTimeDiscretization in net.finmath.finitedifference.assetderivativevaluation.models
Methods in net.finmath.finitedifference.assetderivativevaluation.models that return SpaceTimeDiscretizationModifier and TypeMethodDescriptionFDMBachelierModel.getSpaceTimeDiscretization()FDMBlackScholesModel.getSpaceTimeDiscretization()FDMCevModel.getSpaceTimeDiscretization()FDMHestonModel.getSpaceTimeDiscretization()FDMMertonModel.getSpaceTimeDiscretization()FDMMultiAssetBlackScholesModel.getSpaceTimeDiscretization()FDMSabrModel.getSpaceTimeDiscretization()FDMVarianceGammaModel.getSpaceTimeDiscretization()Methods in net.finmath.finitedifference.assetderivativevaluation.models with parameters of type SpaceTimeDiscretizationModifier and TypeMethodDescriptionFDMBachelierModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FDMBatesModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FDMBlackScholesModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FDMCevModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FDMHestonModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FDMMertonModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FDMMultiAssetBlackScholesModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FDMSabrModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FDMVarianceGammaModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FiniteDifferenceEquityModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) Returns a clone of this model with a modified space-time discretization.static FDMVarianceGammaModelFDMVarianceGammaModel.ofCGM(double initialValue, double riskFreeRate, double dividendYieldRate, double c, double g, double m, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Named factory using the(C,G,M)parameterization and flat rates.static FDMVarianceGammaModelFDMVarianceGammaModel.ofCGM(double initialValue, double riskFreeRate, double c, double g, double m, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Named factory using the(C,G,M)parameterization, flat risk-free rate, and zero dividend yield.static FDMVarianceGammaModelFDMVarianceGammaModel.ofCGM(double initialValue, DiscountCurve riskFreeCurve, double c, double g, double m, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Named factory using the(C,G,M)parameterization and zero dividend yield.static FDMVarianceGammaModelFDMVarianceGammaModel.ofCGM(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double c, double g, double m, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Named factory using the(C,G,M)parameterization and explicit curves.Constructors in net.finmath.finitedifference.assetderivativevaluation.models with parameters of type SpaceTimeDiscretizationModifierConstructorDescriptionFDMBachelierModel(double initialValue, double riskFreeRate, double dividendYieldRate, double volatility, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Bachelier model from constant rates (flat curves).FDMBachelierModel(double initialValue, double riskFreeRate, double volatility, SpaceTimeDiscretization spaceTimeDiscretization) Convenience constructor from a constant risk-free rate (flat curve) andq = 0.FDMBachelierModel(double initialValue, DiscountCurve riskFreeCurve, double volatility, SpaceTimeDiscretization spaceTimeDiscretization) Convenience constructor without dividend yield curve (i.e.,q = 0).FDMBachelierModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double volatility, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Bachelier model from discount curves.FDMBatesModel(double initialSpot, double initialVariance, double riskFreeRate, double dividendYieldRate, double kappa, double thetaV, double sigma, double rho, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Bates finite difference model from constant rates and jump parameters.FDMBatesModel(double initialSpot, double initialVariance, double riskFreeRate, double kappa, double thetaV, double sigma, double rho, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Bates finite difference model from a constant risk-free rate and zero dividend yield, using jump parameters.FDMBatesModel(double initialSpot, double initialVariance, double riskFreeRate, double dividendYieldRate, double kappa, double thetaV, double sigma, double rho, BatesJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Bates finite difference model from constant rates and an explicit jump component.FDMBatesModel(double initialSpot, double initialVariance, double riskFreeRate, double kappa, double thetaV, double sigma, double rho, BatesJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Bates finite difference model from a constant risk-free rate and zero dividend yield, using an explicit jump component.FDMBatesModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, double kappa, double thetaV, double sigma, double rho, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Bates finite difference model without dividend yield curve, using jump parameters.FDMBatesModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, double kappa, double thetaV, double sigma, double rho, BatesJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Bates finite difference model without dividend yield curve, using an explicit jump component.FDMBatesModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double kappa, double thetaV, double sigma, double rho, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Bates finite difference model from discount curves and jump parameters.FDMBatesModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double kappa, double thetaV, double sigma, double rho, BatesJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Bates finite difference model from discount curves and an explicit jump component.FDMBlackScholesModel(double initialValue, double riskFreeRate, double dividendYieldRate, double volatility, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Black-Scholes finite difference model for option pricing.FDMBlackScholesModel(double initialValue, double riskFreeRate, double volatility, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Black-Scholes finite difference model for option pricing without dividend yield.FDMBlackScholesModel(double initialValue, double riskFreeRate, double dividendYieldRate, LocalVolatility volatility, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a local-volatility finite difference model for option pricing.FDMBlackScholesModel(double initialValue, double riskFreeRate, LocalVolatility volatility, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a local-volatility finite difference model for option pricing without dividend yield.FDMBlackScholesModel(double initialValue, DiscountCurve riskFreeCurve, double volatility, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Black-Scholes finite difference model for option pricing without dividend yield.FDMBlackScholesModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double volatility, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Black-Scholes finite difference model for option pricing.FDMBlackScholesModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, LocalVolatility volatility, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a local-volatility finite difference model for option pricing.FDMBlackScholesModel(double initialValue, DiscountCurve riskFreeCurve, LocalVolatility volatility, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a local-volatility finite difference model for option pricing without dividend yield.FDMCevModel(double initialValue, double riskFreeRate, double dividendYieldRate, double sigma, double beta, SpaceTimeDiscretization spaceTimeDiscretization) Creates a CEV model instance using constant ratesrandq.FDMCevModel(double initialValue, double riskFreeRate, double sigma, double beta, SpaceTimeDiscretization spaceTimeDiscretization) Creates a CEV model instance using constantrand assuming zero dividend yield (q = 0).FDMCevModel(double initialValue, DiscountCurve riskFreeCurve, double sigma, double beta, SpaceTimeDiscretization spaceTimeDiscretization) Creates a CEV model instance assuming zero dividend yield (q = 0), consistent with the constructor style ofFDMBlackScholesModel.FDMCevModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double sigma, double beta, SpaceTimeDiscretization spaceTimeDiscretization) Creates a CEV model instance using explicit discount curves forrandq.FDMHestonModel(double initialSpot, double initialVariance, double riskFreeRate, double dividendYieldRate, double kappa, double thetaV, double sigma, double rho, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Heston finite difference model for option pricing from constant rates.FDMHestonModel(double initialSpot, double initialVariance, double riskFreeRate, double kappa, double thetaV, double sigma, double rho, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Heston finite difference model for option pricing from a constant risk-free rate and zero dividend yield.FDMHestonModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, double kappa, double thetaV, double sigma, double rho, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Heston finite difference model for option pricing without dividend yield curve (i.e. dividend yield is assumed to be zero).FDMHestonModel(double initialSpot, double initialVariance, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double kappa, double thetaV, double sigma, double rho, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a Heston finite difference model for option pricing.FDMMertonModel(double initialValue, double riskFreeRate, double dividendYieldRate, double volatility, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Creates a finite-difference Merton model from flat rates and jump parameters.FDMMertonModel(double initialValue, double riskFreeRate, double volatility, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Creates a finite-difference Merton model from a flat risk-free rate and zero dividend yield.FDMMertonModel(double initialValue, double riskFreeRate, double dividendYieldRate, double volatility, MertonJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Creates a finite-difference Merton model from flat rates and an explicit jump component.FDMMertonModel(double initialValue, double riskFreeRate, double volatility, MertonJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Creates a finite-difference Merton model from a flat risk-free rate and zero dividend yield.FDMMertonModel(double initialValue, DiscountCurve riskFreeCurve, double volatility, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Creates a finite-difference Merton model assuming zero dividend yield.FDMMertonModel(double initialValue, DiscountCurve riskFreeCurve, double volatility, MertonJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Creates a finite-difference Merton model assuming zero dividend yield.FDMMertonModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double volatility, double jumpIntensity, double jumpMean, double jumpStdDev, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Creates a finite-difference Merton model from discount curves and jump parameters.FDMMertonModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double volatility, MertonJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Creates a finite-difference Merton model from discount curves and an explicit jump component.FDMMultiAssetBlackScholesModel(double[] initialValues, double riskFreeRate, double[] dividendYieldRates, double[] volatilities, double[][] correlationMatrix, SpaceTimeDiscretization spaceTimeDiscretization) Creates a multi-asset Black-Scholes finite-difference model from constant rates and constant volatilities.FDMMultiAssetBlackScholesModel(double[] initialValues, DiscountCurve riskFreeCurve, double[] volatilities, double[][] correlationMatrix, SpaceTimeDiscretization spaceTimeDiscretization) Creates a multi-asset Black-Scholes finite-difference model with zero dividend yield for every asset.FDMMultiAssetBlackScholesModel(double[] initialValues, DiscountCurve riskFreeCurve, DiscountCurve[] dividendYieldCurves, double[] volatilities, double[][] correlationMatrix, SpaceTimeDiscretization spaceTimeDiscretization) Creates a multi-asset Black-Scholes finite-difference model.FDMSabrModel(double initialSpot, double initialAlpha, double riskFreeRate, double dividendYieldRate, double beta, double nu, double rho, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a SABR finite difference model from constant rates.FDMSabrModel(double initialSpot, double initialAlpha, double riskFreeRate, double beta, double nu, double rho, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a SABR finite difference model from a constant risk-free rate and zero dividend yield.FDMSabrModel(double initialSpot, double initialAlpha, DiscountCurve riskFreeCurve, double beta, double nu, double rho, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a SABR finite difference model with zero dividend yield.FDMSabrModel(double initialSpot, double initialAlpha, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double beta, double nu, double rho, SpaceTimeDiscretization spaceTimeDiscretization) Constructs a SABR finite difference model from discount curves.FDMVarianceGammaModel(double initialValue, double riskFreeRate, double dividendYieldRate, double sigma, double nu, double theta, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Variance Gamma model from flat rates and the usual(sigma, nu, theta)parameterization.FDMVarianceGammaModel(double initialValue, double riskFreeRate, double sigma, double nu, double theta, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Variance Gamma model from a flat risk-free rate, assuming zero dividend yield, and using the usual(sigma, nu, theta)parameterization.FDMVarianceGammaModel(double initialValue, double riskFreeRate, double dividendYieldRate, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Variance Gamma model from flat rates and an explicit jump component.FDMVarianceGammaModel(double initialValue, double riskFreeRate, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Variance Gamma model from a flat risk-free rate, assuming zero dividend yield, and using an explicit jump component.FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, double sigma, double nu, double theta, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Variance Gamma model assuming zero dividend yield and using the usual(sigma, nu, theta)parameterization.FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Variance Gamma model assuming zero dividend yield and using an explicit jump component.FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, double sigma, double nu, double theta, double lowerIntegrationBound, double upperIntegrationBound, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Variance Gamma model from explicit discount curves and the usual(sigma, nu, theta)parameterization.FDMVarianceGammaModel(double initialValue, DiscountCurve riskFreeCurve, DiscountCurve dividendYieldCurve, VarianceGammaJumpComponent jumpComponent, SpaceTimeDiscretization spaceTimeDiscretization) Creates a Variance Gamma model from explicit discount curves and an explicit jump component. -
Uses of SpaceTimeDiscretization in net.finmath.finitedifference.interestrate.models
Methods in net.finmath.finitedifference.interestrate.models that return SpaceTimeDiscretizationMethods in net.finmath.finitedifference.interestrate.models with parameters of type SpaceTimeDiscretizationModifier and TypeMethodDescriptionFDMHullWhiteModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization newSpaceTimeDiscretization) FiniteDifferenceInterestRateModel.getCloneWithModifiedSpaceTimeDiscretization(SpaceTimeDiscretization spaceTimeDiscretization) Returns a clone of the model using a modified space-time discretization.Constructors in net.finmath.finitedifference.interestrate.models with parameters of type SpaceTimeDiscretizationModifierConstructorDescriptionFDMHullWhiteModel(AnalyticModel analyticModel, DiscountCurve discountCurve, ShortRateVolatilityModel volatilityModel, SpaceTimeDiscretization spaceTimeDiscretization) Creates a one-factor Hull-White finite-difference model. -
Uses of SpaceTimeDiscretization in net.finmath.finitedifference.solvers
Methods in net.finmath.finitedifference.solvers with parameters of type SpaceTimeDiscretizationModifier and TypeMethodDescriptionstatic FDMSolverFDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Performs the operation.static FDMSolverFDMSolverFactory.createSolver(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification) Performs the operation.Constructors in net.finmath.finitedifference.solvers with parameters of type SpaceTimeDiscretizationModifierConstructorDescriptionFDMThetaMethod1D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates a theta-method finite-difference solver for a one-dimensional backward PDE.FDMThetaMethod1D(FiniteDifferenceModel model, FiniteDifferenceProduct<? extends FiniteDifferenceModel> product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates a theta-method finite-difference solver for a one-dimensional backward PDE.FDMThetaMethod1D(FiniteDifferenceInterestRateModel model, FiniteDifferenceInterestRateProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates a theta-method finite-difference solver for a one-dimensional backward PDE.FDMThetaMethod1DJump(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates a one-dimensional theta-method PIDE solver with explicit jump term.FDMThetaMethod1DJump(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, int quadraturePointsPerSide) Creates a one-dimensional theta-method PIDE solver with explicit jump term.FDMThetaMethod1DTwoState(FiniteDifferenceEquityModel model, FiniteDifferenceOneDimensionalKnockInProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, TwoStateActiveBoundaryProvider activeBoundaryProvider) Creates a direct two-state theta-method solver for one-dimensional knock- in products.FDMThetaMethod1DTwoState(FiniteDifferenceEquityModel model, FiniteDifferenceOneDimensionalKnockInProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, TwoStateActiveBoundaryProvider activeBoundaryProvider, TwoStateActivationPolicy activationPolicy) Creates a direct two-state theta-method solver with an explicit activation policy.FDMThetaMethod2D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates a two-dimensional theta-method finite-difference solver. -
Uses of SpaceTimeDiscretization in net.finmath.finitedifference.solvers.adi
Methods in net.finmath.finitedifference.solvers.adi that return SpaceTimeDiscretizationModifier and TypeMethodDescriptionprotected SpaceTimeDiscretizationAbstractADI2D.getSpaceTimeDiscretization()protected SpaceTimeDiscretizationAbstractADI3D.getSpaceTimeDiscretization()Constructors in net.finmath.finitedifference.solvers.adi with parameters of type SpaceTimeDiscretizationModifierConstructorDescriptionprotectedAbstractADI2D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates the ADI solver.protectedAbstractADI3D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) FDMAsianADI2D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates the lifted two-dimensional ADI solver for arithmetic Asian products.FDMAsianHestonADI3D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Performs the operation.FDMAsianSabrADI3D(FiniteDifferenceEquityModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates the lifted three-dimensional ADI solver for arithmetic Asian pricing under SABR.FDMBarrierHestonADI2D(FDMHestonModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification) Creates the barrier-aware Heston ADI solver.FDMBarrierSabrADI2D(FDMSabrModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, BarrierPDEMode barrierMode, BarrierPreHitSpecification preHitSpecification) Creates the barrier-aware SABR ADI solver.FDMBatesADI2D(FDMBatesModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates a Bates ADI solver with a default number of quadrature cells on each side of zero.FDMBatesADI2D(FDMBatesModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise, int quadraturePointsPerSide) Creates a Bates ADI solver.FDMHestonADI2D(FDMHestonModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates the ADI solver for the two-dimensional Heston PDE.FDMMultiAssetBlackScholesADI2D(FDMMultiAssetBlackScholesModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates the ADI solver for the two-dimensional multi-asset Black-Scholes PDE.FDMSabrADI2D(FDMSabrModel model, FiniteDifferenceEquityProduct product, SpaceTimeDiscretization spaceTimeDiscretization, Exercise exercise) Creates the ADI solver for a two-dimensional SABR PDE. -
Uses of SpaceTimeDiscretization in net.finmath.finitedifference.utilities
Methods in net.finmath.finitedifference.utilities that return SpaceTimeDiscretizationModifier and TypeMethodDescriptionFiniteDifferenceGridLayout.getDiscretization()Returns the underlying space-time discretization.FiniteDifferenceSurfaceView.getDiscretization()Returns the value.Methods in net.finmath.finitedifference.utilities with parameters of type SpaceTimeDiscretizationModifier and TypeMethodDescriptionstatic double[][]FiniteDifferenceGreekProvider.deltaSurface(double[][] values, SpaceTimeDiscretization discretization) Performs the operation.static double[][]FiniteDifferenceGreekProvider.firstDerivativeSurface(double[][] values, SpaceTimeDiscretization discretization, int dimension) Performs the operation.static double[][]FiniteDifferenceGreekProvider.gammaSurface(double[][] values, SpaceTimeDiscretization discretization) Performs the operation.static intFiniteDifferenceValueInterpolator.getTimeIndexNearestLessOrEqual(SpaceTimeDiscretization discretization, double evaluationTime, double maturity, double[][] values) Returns the nearest previous solver time index for an evaluation time.static double[]FiniteDifferenceValueInterpolator.getTimeSlice(double[][] values, SpaceTimeDiscretization discretization, double evaluationTime, double maturity) Extracts a value vector at an evaluation time.static double[]FiniteDifferenceValueInterpolator.getTimeSlice(double[][] values, SpaceTimeDiscretization discretization, int timeIndex) Extracts a value vector at a solver time index.static double[][]FiniteDifferenceGreekProvider.greekSurface(FiniteDifferenceGreek greek, double[][] values, SpaceTimeDiscretization discretization) Performs the operation.static doubleFiniteDifferenceValueInterpolator.interpolateSurface(double[][] values, SpaceTimeDiscretization discretization, double evaluationTime, double maturity, double... coordinates) Interpolates a value surface at an evaluation time and spatial coordinate.static doubleFiniteDifferenceValueInterpolator.interpolateTimeIndex(double[][] values, SpaceTimeDiscretization discretization, int timeIndex, double... coordinates) Interpolates a value surface at a given solver time index and spatial coordinate.static doubleFiniteDifferenceValueInterpolator.interpolateValue(double[] values, SpaceTimeDiscretization discretization, double... coordinates) Interpolates a value vector at a spatial coordinate.static double[][]FiniteDifferenceGreekProvider.mixedSecondDerivativeSurface(double[][] values, SpaceTimeDiscretization discretization, int firstDimension, int secondDimension) Performs the operation.static FiniteDifferenceGridLayoutFiniteDifferenceGridLayout.of(SpaceTimeDiscretization discretization) Creates a grid layout from a space-time discretization.static FiniteDifferenceSurfaceViewFiniteDifferenceSurfaceView.of(SpaceTimeDiscretization discretization, double[][] values) Performs the operation.static double[][]FiniteDifferenceGreekProvider.secondDerivativeSurface(double[][] values, SpaceTimeDiscretization discretization, int dimension) Performs the operation.static double[][]FiniteDifferenceGreekProvider.thetaSurface(double[][] values, SpaceTimeDiscretization discretization) Performs the operation.Constructors in net.finmath.finitedifference.utilities with parameters of type SpaceTimeDiscretizationModifierConstructorDescriptionFiniteDifferenceGridLayout(SpaceTimeDiscretization discretization) Creates a grid layout from a space-time discretization.FiniteDifferenceSurfaceView(SpaceTimeDiscretization discretization, double[][] values) Creates a surface view.